I've seen them in stores before as house plants, but it's been a while.
There are plenty of things to learn about peppers alone, but if you're going to try with the regular garden peppers you should know that they usually only live a few years. There are others that can live decades, but they're harder to find. Point is, if you can keep a regular garden variety pepper alive for a few years, especially with the added winter care they can need, then you're in great shape for bonsai.
BTW, where in the world are you? Makes all the difference in what your next steps are, unless you really think you're going to grow bonsai in Minecraft, Mr Hypixel.
It's just really tough to grow in winter, so even a continent and your USDA growing zone will do.